Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK


Hendry, David F. and Mizon, Grayham E. (1998) Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK Empirical Economics, 23, (3), pp. 267-294. (doi:10.1007/BF01294408).

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Description/Abstract

Since the objective of economic policy is to change target variables in the DGP, when economic policy analysis uses an econometric model, it is important that the model delivers reliable inferences about policy responses in the DGP. This requires that the model be congruent and encompassing, and hence exogeneity, causality, cointegration, co-breaking, and invariance all play major roles. We discuss these roles in linear cointegrated VARs, prior to illustrating their importance in a bivariate model of money and interest rates in the UK over the last century.

Item Type: Article
Digital Object Identifier (DOI): doi:10.1007/BF01294408
ISSNs: 0377-7332 (print)
Keywords: exogeneity, causality, invariance, cointegration, co-breaking, impulse responses, money demand
Subjects:

ePrint ID: 32882
Date :
Date Event
1998Published
Date Deposited: 25 Jul 2006
Last Modified: 16 Apr 2017 22:18
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/32882

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